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任会会 · 2019年04月21日

问一道题:NO.PZ2016082404000019 [ FRM I ]

问题如下图:如何区分应该LONG还是short

选项:

A.

B.

C.

D.

解释:

2 个答案

orange品职答疑助手 · 2019年10月23日

同学你好,可对手方不会跟你签一个让你低价买入的远期啊


orange品职答疑助手 · 2019年04月21日

同学你好,判断方向的原则就是,签订一个当这个你担心的情景发生时,你会通过它赚到钱的合约。本题这个人持有黄金想要卖出,他担心黄金价格下跌,所以他就可以签订一个当黄金价格下跌时能赚钱的合约,所以就是卖出期货

wosmomo · 2019年10月22日

那签个合约低价买入不也赚钱么?是不是因为他有的是金子,所以往外卖比较好?往里买的话还是要卖出去

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NO.PZ2016082404000019 XYZ Co. is a golprocer anwill sell 10,000 ounces of golin three months the prevailing market prithtime. The stanrviation of the change in the priof golover a three-month periois 3.6%. In orr to hee its priexposure, XYZ Co. cis to use golfutures to hee. The contrasize of eagolfutures contrais 10 ounces. The stanrviation of the golfutures priis 4.2%. The correlation between quarterly changes in the futures prianthe spot priof golis 0.86. To hee its priexposure, how many futures contracts shoulXYZ Co. go long or short?   Short 632 contracts   Short 737 contracts   Long 632 contracts   Long 737 contracts ANSWER: B XYZ will incur a loss if the priof golfalls, so shoulshort futures a hee. The optimhee ratio is ρσSσF=0.86×3.64.2=0.737.\rho\frac{\sigma_S}{\sigma_F}=0.86\times\frac{3.6}{4.2}=0.737.ρσF​σS​​=0.86×4.23.6​=0.737.. Taking into account the size of the position, the number of contracts to sell is 0.737×10,00010=737.0.737\times\frac{10,000}{10}=737.0.737×1010,000​=737. 737我求出来了,现在是回答long和short的问题有些障碍。 1.我的理解是因为要sell,所以担心价格下跌,所以short;担心价格上涨,long;是吗? 2.老师讲过Beta大于0就long,是不是这个只能用于股指期数,不是在这里用的。这里的h和beta的计算公式很相似,不知道能不能串用。

2022-02-11 16:19 1 · 回答

XYZ Co. is a golprocer anwill sell 10,000 ounces of golin three months the prevailing market prithtime. The stanrviation of the change in the priof golover a three-month periois 3.6%. In orr to hee its priexposure, XYZ Co. cis to use golfutures to hee. The contrasize of eagolfutures contrais 10 ounces. The stanrviation of the golfutures priis 4.2%. The correlation between quarterly changes in the futures prianthe spot priof golis 0.86. To hee its priexposure, how many futures contracts shoulXYZ Co. go long or short?   Short 632 contracts   Short 737 contracts   Long 632 contracts   Long 737 contracts ANSWER: B XYZ will incur a loss if the priof golfalls, so shoulshort futures a hee. The optimhee ratio is ρσSσF=0.86×3.64.2=0.737.\rho\frac{\sigma_S}{\sigma_F}=0.86\times\frac{3.6}{4.2}=0.737.ρσF​σS​​=0.86×4.23.6​=0.737.. Taking into account the size of the position, the number of contracts to sell is 0.737×10,00010=737.0.737\times\frac{10,000}{10}=737.0.737×1010,000​=737. 这道题不应该是β×期货数量×10=10000 吗?

2020-03-05 22:12 1 · 回答

這題可以用李老師的思維講一下嗎

2019-11-10 16:04 1 · 回答

     老师你好,这道题还是不理解为什么hee ratio不是0.86*4.2/3.6呢,不应该是现货价格变化在分母吗?

2019-08-15 16:34 1 · 回答